11 Wall Street
New York, NY 10005
NYSE Operations
August 14, 2013
TO:
All Members and Member Organizations
SUBJECT:
NYSE Cash Equities Market New Mid-Point Order Type
ROUTE TO:
Business Leaders, Technology and Operations Officers
______________________________________________________________________________________
Pending SEC approval, the NYSE and NYSE MKT markets will introduce a new Mid-Point Passive Liquidity (MPL)
order type. MPL Orders are un-displayed limit orders that will be priced at the midpoint of the Protected Best
Bid Best Offer (PBBO). Firms and Broker Systems can send MPL orders directly to the NYSE Matching Engine
and will have the option of applying additional modifiers to the order type as well as interacting with all other
order types. Routing of MPL orders directly to the Broker System will not be supported. MPL orders will not
participate at the Open, Close or in any manual trade. All MPL specific billing information will be disseminated
in the expanded billing field (Tag 9426 – BillingRate). Upon activation of the MPL order type, NYSE Broker
System related orders will begin returning this expanded field/Tag on all execution messages.
Processing Characteristics:
1. Limit Day or IOC orders priced at $1.00 and higher.
a. MPL orders priced in sub-pennies both above and below $1.00 will be rejected.
2. Will provide price improvement for incoming interest by executing at the mid-point of the protected
best bid or offer.
3. MPL orders will never be quoted or included in NYSE OpenBook®.
4. MPL interest will not participate at the Open, Close or in any manual trade.
5. MPL interest will never route to an away market.
6. MPL interest may include a minimum trigger volume (MTV) that will act as the orders minimum trade
size upon arrival. Once resting, will not be triggered to trade unless the contra size quantity of all
marketable interest at the mid-point is greater than or equal to the MTV.
7. May contain the Self-Trade Prevention (STP) designation if Minimum Trade Size (MTS) or Minimum
Trigger Volume (MTV) is not populated or equal to zero.
8. MPL interest can trade at prices up to 4 decimals. If the mid-point is below $1.00, MPL interest will
not be eligible to trade.
9. Will not trade if market is locked or crossed.
10. May also be designated as Add Liquidity Only (ALO) ensuring that the order will not execute on arrival
even if marketable.
a. MPL Orders designated as ALO must contain an order quantity greater than or equal to one
round lot.
11. May execute against Retail Taker interest.
12. Will return new expanded two-byte billing values:
a. Value 10 representing a Retail Taker order that executed against a resting MPL order.
b. Value 11 representing an MPL Taker
c. Value 12 representing an MPL Provider
FIX Technical Details:
Order (message type “D”) and Cancel/Replacements (message type “G”) will require the following FIX protocol
changes in support of the new MPL order type:
FIX Tag/Name
Tag 18 – ExecInst
Tag 9487 – RoutingInstruction
Description
Instructions for
order handling on
exchange trading
floor
Routing Instruction
Req. Valid Values
N
M = Mid-Price Peg (MPL) indicator
C
ALO – Add Liquidity Only
ExecInst <Tag 18> must contain the value =
“M” else order will be rejected.
Tag 9568 –MinimumTriggerVol
Minimum Trigger
Volume for MidPoint Passive
Liquidity (MPL)
order
N
Value may be Zero.
Cannot be present if MPL order is also
designated as STP.
Customers must support the following FIX tag in the report message (message type “8”) in order to receive
any MPL billing information.
FIX Tag/Name
Tag 9426 – BillingRate
Description
Consolidated
billing information.
Req. Valid Values
C
Returned on execution reports. Required
to receive new MPL billing values.
Sample format: 11/2
Current values:
1 = Taker
2 = Provider
3 = Blended
4 = Opening/Provider (Prior Day GTC
2
Orders)
5 = Opening/Provider
6 = Closing/Provider
7 = Closing/Blended
8 = Retail Order Provider
9 = Retail Order Taker
10 = Retail Taker MPL
11 = MPL Taker
12 = MPL Provider
Note: Not currently supported for BBSS or
Direct to Handheld orders.
This single six byte FIX Tag consolidates all customer execution billing information, including the location of
the execution (NYSE or away market center). This tag will contain either a) a Liquidity Indicator followed by
the displayed liquidity indicator or b) a Market Center ID (MCID) followed by an optional Market Maker ID
(MMID), if the trade was routed to and executed by a FINRA ADF participant. For MPL order executions, Tag
9578, BillingIndicator, will not be returned on your outgoing message.
Outgoing FIX Messages:
ExecInst and MinimumTriggerVol will not be returned on order activities (message 8 or 9) including
acknowledgements, reports, report corrections, UROUTs and rejects.
FIX Drop Copy Messages:
For customers subscribed to Drop Copy messages, ExecInst and MinimumTriggerVol will be returned in your
order drop copy messages. However, report and admin drop copy messages with not contain these two new
fields/values.
UTPDirect (Binary) Protocol Technical Details:
Customers will be required to support Order variant D.4 and Cancel/Replacement variant G.4 in support of the
new MPL order type:
Field Name
ExecInst
Req. Valid Values
N
M = Mid-Price Peg (MPL) indicator
RoutingInstruction
Description
Instructions for
order handling on
exchange trading
floor
Routing Instruction
N
ALO – Add Liquidity Only
MinimumTriggerVol
Minimum Trigger
N
Value may be Zero.
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StatusIndicator
Volume for MidPoint Passive
Liquidity (MPL)
order
Each bit position of
the Status Indicator
field will be used as
a flag to indicate
that zero is valid
value for an
assigned field
Cannot be present if MPL order is also
designated as STP.
N
Bits must be set equal to 1 when value = 0.
Bit 2 = Zero Minimum Trigger Vol
Customers must support the BillingRate field returned in either report variant 2.1 or X.1 (Verbose) in order to
receive any MPL billing information.
Field Name
BillingRate
Description
Consolidated
billing information.
Req. Valid Values
C
Returned on execution reports. Required
to receive new MPL billing values.
Sample format: 11/2
Current values:
1 = Taker
2 = Provider
3 = Blended
4 = Opening/Provider (Prior Day GTC
Orders)
5 = Opening/Provider
6 = Closing/Provider
7 = Closing/Blended
8 = Retail Order Provider
9 = Retail Order Taker
10 = Retail Taker MPL
11 = MPL Taker
12 = MPL Provider
Note: Not currently supported for BBSS or
Direct to Handheld orders.
This single six byte field consolidates all customer execution billing information, including the location of the
execution (NYSE or away market center). This field will contain either a) a Liquidity Indicator followed by the
displayed liquidity indicator or b) a Market Center ID (MCID) followed by an optional Market Maker ID
4
(MMID), if the trade was routed to and executed by a FINRA ADF participant. For MPL order executions,
BillingIndicator, will not be returned on your outgoing message.
Outgoing UTPDirect (Binary) Messages:
ExecInst and MinimumTriggerVol will not be returned on any outgoing UTPDirect (Binary) messages including
order acknowledgements, reports, report corrections and reject messages.
UTPDirect (Binary) Drop Copy Messages:
For customers subscribed to Drop Copy messages, ExecInst and MinimumTriggerVol will be returned in your
order drop copy messages. However, report and admin drop copy messages will not contain these new
fields/values.
Merged Order Log Output Details:
The Merged Order Log Output will be enhanced to include MPL and ALO indicators on orders, a Minimum
Trigger Value and new Billing Indicators. The following outputs will be affected by these changes:
 Clearing Firm MRO – 06220564
 Entering Firm MRO – 06220527
 Broker Badge MRO – 06200574
 Agency MRO – 06010578
An ALO indicator will be added to the 1A, 1B and 1C order records in the existing Special Order Indicator (SOI)
field in position 129. The new values will be:
 U = ALO Order
 V = Partial ALO Order
FIELD NAME
Special Order Indicator
Position
Start-End
Format
(Length)
129-129
X(1)
Field Value
U = Add Liquidity Only (ALO)
V = DOT order from e-Broker ALO
An MPL indicator will be added to the 1A, 1B and 1C order records in a new field named “Special Order
Indicator 2” (SOI2) in position 132 (currently filler). For MPL orders, this field will contain a value of “M”.
FIELD NAME
Position
Start-End
Format
(Length)
Field Value
Special Order Indicator 2
(SOI2)
132-132
X(1)
M = MPL
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A Minimum Trigger Volume field will be added to the 1A and 1B order records in a new field called “Minimum
Trigger Value” in Position 44-52 (currently filler). If a Minimum Trigger Volume is present on an MPL order it
will be populated in this field.
For the Minimum Trigger Quantity on an MPL e-Quote the 3C e-Quote order extension record will populate
this value in the existing “Opposite Side Minimum” field in Positions 76-84.
FIELD NAME
Opposite Side Minimum Size
Position
Start-End
76-84
Format
(Length)
9(9)
Field Value
Smallest size the discretionary e-Quote is
willing to trade against with discretion; zero if
not present.
In order to support the new Billing Indicators, the “Displayed Liquidity” field on the 2A report records will be
expanded to 2 bytes in Positions 161-162 (162 formerly filler). Existing customers who do not require the MPL
billing values can continue to read the one byte billing codes in Position 161. The new Billing Indicators for
MPL will be added as follows:

10 = Retail MPL Taker

11 = MPL Taker

12 = MPL Provider
FIELD NAME
Position
Start-End
Format
(Length)
Field Value
Liquidity Indicator
161-162
X(2)
10 = RETAIL MPL TAKER
11 = MPL TAKER
12 = MPL PROVIDER
User Acceptance Testing:
We anticipate that the User Acceptance Testing environment will be available on or about August 19th. Exact
implementation dates will be distributed under a separate customer notification.
Contact Information:
For any business questions concerning this notice, please contact your NYSE Relationship Manager or:
Bob Airo
[email protected]
212.656.5663
Mike Paulyson
[email protected] 212.656.2721
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